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"Fast Barrier Option Pricing by the COS BEM Method in Heston Model (with ..."

Alessandra Aimi et al. (2023)

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DOI: 10.1515/CMAM-2022-0088

access: closed

type: Journal Article

metadata version: 2023-07-07

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Alessandra Aimi, Chiara Guardasoni, Luis Ortiz-Gracia, Simona Sanfelici:
Fast Barrier Option Pricing by the COS BEM Method in Heston Model (with Matlab Code). Comput. Methods Appl. Math. 23(2): 301-332 (2023)

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